2 answers

The kinect publishes Image messages on a variety of topics; start by using rostopic list to see which ones.

Then, you'll need to subscribe to them. If you just want to save a few images, the image_view program (rosrun image_view image_view) will show you what a single camera is seeing, and you can click to save a frame.

For more-general work, you should either record a bagfile (see rosbag), or write yourself a subscriber node that collects messages and writes them out. See the image_transport and cv_bridge packages; those will come in handy.